Asymptotics for Fixed Transaction Costs

Albert Altarovici, Johannes Muhle-Karbe and H. Mete Soner

Papers from arXiv.org

Abstract: An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.

Date: 2013-06, Revised 2013-10
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Citations: View citations in EconPapers (5)

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